Class AnalyticModelFromCurvesAndVols

  • All Implemented Interfaces:
    Serializable, Cloneable, AnalyticModel, Model

    public class AnalyticModelFromCurvesAndVols
    extends Object
    implements AnalyticModel, Serializable, Cloneable
    Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves"). This can be seen as a model to be used in analytic pricing formulas - hence this class is termed AnalyticModelFromCuvesAndVols.
    Version:
    1.0
    Author:
    Christian Fries
    See Also:
    Serialized Form
    • Constructor Detail

      • AnalyticModelFromCurvesAndVols

        public AnalyticModelFromCurvesAndVols()
        Create an empty analytic model.
      • AnalyticModelFromCurvesAndVols

        public AnalyticModelFromCurvesAndVols​(RandomVariableFactory randomVariableFactory)
        Create an empty analytic model using a given AbstractRandomVariableFactory for construction of result types.
        Parameters:
        randomVariableFactory - given AbstractRandomVariableFactory for construction of result types.
      • AnalyticModelFromCurvesAndVols

        public AnalyticModelFromCurvesAndVols​(Curve[] curves)
        Create an analytic model with the given curves.
        Parameters:
        curves - The vector of curves.
      • AnalyticModelFromCurvesAndVols

        public AnalyticModelFromCurvesAndVols​(RandomVariableFactory randomVariableFactory,
                                              Curve[] curves)
        Create an analytic model with the given curves using a given AbstractRandomVariableFactory for construction of result types.
        Parameters:
        randomVariableFactory - given AbstractRandomVariableFactory for construction of result types.
        curves - The vector of curves.
      • AnalyticModelFromCurvesAndVols

        public AnalyticModelFromCurvesAndVols​(Collection<Curve> curves)
        Create an analytic model with the given curves.
        Parameters:
        curves - A collection of curves.